Optimal solution of the liquidation problem under execution and price impact risks

DOI10.1080/14697688.2022.2047219zbMath1489.91286OpenAlexW4220694798MaRDI QIDQ5079391

Francesca Mariani, Lorella Fatone

Publication date: 27 May 2022

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697688.2022.2047219

zbMATH Keywords

Hamilton-Jacobi-Bellman equationstochastic optimal controlexecution riskliquidation problemprice impact risk

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Interest rates, asset pricing, etc. (stochastic models) (91G30)

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